Options Daily 05.12.2018

NIFTY Summary:

  1. Dec 10900 calls added 76,425 contracts.
  2. Dec 10700 calls shed 90,150.
  3. Dec 10800 puts added 2,83,125.
  4. Dec 9600 puts shed 72,600.

Our trend model indicates a LONG on the NIFTY and LONG on the BANKNIFTY.

Avg. True Range

NIFTY.50 NIFTY.BANK
3 88.94 266.34
5 98.55 283.46
10 112.14 312.25
20 125.12 343.77

NIFTY 50 NIFTY BANK
TrueRange 57.60 212.80
TrueHigh 10890.95 26857.55
TrueLow 10833.35 26644.75

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

DEC NIFTY OI

DEC NIFTY OI chart

DEC BANKNIFTY OI

DEC BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

DEC NIFTY Volatility

DEC NIFTY Volatility chart

DEC BANKNIFTY Volatility

DEC BANKNIFTY Volatility chart
Dotted lines indicated actual underlying volatility. Solid lines are IVs.

VIX Density Plot

VIX kernel density plot

5-day forecast based on ARMA(1,1)+GARCH(1,1) model:

VIX 18.12 18.12 18.12 18.12 18.13
σ 0.65 0.66 0.67 0.68 0.68

Marketwide OI

market wide position limit chart

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